An investigation of hypothetical variance-covariance matrix stress-testing/ (Record no. 167636)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02152nam a22002417a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20241009134111.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 241009b |||||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER | |
| International Standard Serial Number | 17528887 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | MSU |
| Language of cataloging | English |
| Transcribing agency | MSU |
| Description conventions | rda |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HD61.J687 JOU |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Rayer, Quintin |
| Relator term | author |
| 245 13 - TITLE STATEMENT | |
| Title | An investigation of hypothetical variance-covariance matrix stress-testing/ |
| Statement of responsibility, etc. | created by Quintin Rayer |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Place of production, publication, distribution, manufacture | London : |
| Name of producer, publisher, distributor, manufacturer | Henry Stewart Publication, |
| Date of production, publication, distribution, manufacture, or copyright notice | 2016. |
| 336 ## - CONTENT TYPE | |
| Source | rdacontent |
| Content type term | text |
| Content type code | txt |
| 337 ## - MEDIA TYPE | |
| Source | rdamedia |
| Media type term | unmediated |
| Media type code | n |
| 338 ## - CARRIER TYPE | |
| Source | rdacarrier |
| Carrier type term | volume |
| Carrier type code | nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE | |
| Title | Journal of risk management in financial institutions |
| Volume/sequential designation | Volume 9, number 3 |
| 520 3# - SUMMARY, ETC. | |
| Summary, etc. | Attempting to put meaningful numbers to portfolio risks is challenging. Conventional risk measures are considered often not to fully capture all risks inherent in a portfolio, particularly under difficult market conditions. Under such conditions stress-testing against artificial scenarios may help identify and quantify risks within a portfolio. Stress-tests also help reassure a portfolio or risk manager as to how a portfolio might respond to specific concerns. This paper investigates an example of stress-testing a portfolio of conventional assets against market risks using artificial scenarios based around changes to the portfolio variance-covariance matrix. Hypothetical variance-covariance matrix stress-tests include making changes to correlations between assets to explore impacts on portfolio risks. Portfolio correlations, however, cannot be changed arbitrarily to reflect a risk manager’s concerns without running the risk of implausible stressed returns and variance-covariance matrices that are not positive semi-definite. Different methods have been proposed in the literature to overcome this. This paper applies two such methods to a portfolio of four assets with the aim of illustrating the processes involved as well as drawing out differences in the approaches, enabling a discussion of their strengths and weaknesses. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Correlation |
| Form subdivision | Market-risk |
| General subdivision | Stress-testing |
| 856 ## - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | 10.69554/dtle1558 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Library of Congress Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Shelving location | Date acquired | Serial Enumeration / chronology | Total Checkouts | Full call number | Date last seen | Price effective from | Koha item type | Public note |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Library of Congress Classification | Main Library | Main Library | - Special Collections | 17/10/2016 | Vol. 9, no.3 (pages 264-288) | HD61.J687 JOU | 09/10/2024 | 09/10/2024 | Journal Article | For in house use only |